The exit times for the diffusion risk model with drift coefficient (Q2289504)
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scientific article; zbMATH DE number 7157167
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| English | The exit times for the diffusion risk model with drift coefficient |
scientific article; zbMATH DE number 7157167 |
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The exit times for the diffusion risk model with drift coefficient (English)
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23 January 2020
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Summary: This paper investigates the diffusion risk model with drift coefficient. The Laplace-Stieltjes transforms (LST) of some exit times of the risk process are obtained.
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basic solutions of differential equation
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Dynkin's formula
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second-order differential equation with constant coefficients
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strong Markov property
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